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A Gentle Introduction to the Integration of Stochastic Differential Equations

  • Mannella R
Springer Berlin Heidelberg, (2007), 353-364
DOI: 10.1007/3-540-45396-2_32
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Abstract

A gentle introduction to the simulation of stochastic differential equations is presented, with particular attention to the simulation of rare fluctuations, a topic of interest in the light of recent theoretical work on optimal paths. The “best algorithm” and some problems connected to the treatment of the boundaries will be discussed.

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Mannella, R. (2007). A Gentle Introduction to the Integration of Stochastic Differential Equations. In Stochastic Processes in Physics, Chemistry, and Biology (pp. 353–364). Springer Berlin Heidelberg. https://doi.org/10.1007/3-540-45396-2_32

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